Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

DOI10.1007/s10287-021-00387-8OpenAlexW3130445878MaRDI QIDQ2051153

Michelle Bandarra, Vincent Guigues

Publication date: 24 November 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06757

zbMATH Keywords

stochastic programmingportfolio selectionstochastic dual dynamic programmingmulticut decomposition algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Operations research and management science (90Bxx)

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Uses Software

• Mosek

Cites Work

• Unnamed Item
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